Animal studies have shown that a cafeteria (CAF) diet (high in saturated fat and sugar), is associated with memory impairments and increased anxiety, while exercise can enhance antidepressant-like effects and cognitive function. The mechanisms underlying the effects of a CAF diet, exercise, or their convergence on memory, mood and anxiety are not fully understood, but alterations in adult hippocampal neurogenesis (AHN), gut microbial metabolites, or plasma metabolic hormones may play a role. Therefore, this study investigated whether a 7.5-week voluntary running exercise intervention in young adult male rats could alter the effects of a concurrent CAF diet on depression-like, anxiety-like and cognitive behaviours and AHN, and determined associated changes in metabolic hormones and gut microbial metabolites. We found that exercise produced a mild anxiolytic effect, regardless of diet, and increased PYY, a hormone previously shown to reduce anxiety-like behaviour. CAF diet induced differential abundance of caecal metabolites, and exercise attenuated CAF diet-induced decreases in certain metabolites implicated in cognitive function or depression-like behaviour. Although exercise exerted antidepressant-like effects in the FST, induced subtle improvements in spatial learning strategy, and increased plasma metabolic hormones previously implicated in depression-like behaviour in CAF diet-fed animals, CAF diet blunted exercise-induced increases in plasma GLP-1 and AHN, suggesting that exercise should be accompanied by a healthy diet to increase AHN. Together, these findings highlight the importance of exercise and healthy diet for hippocampal health and provide insight into potential metabolite and hormone-mediated mechanisms underlying the effects of CAF diet and exercise on brain and behaviour.Key points- Diets high in saturated fat and sugar are associated with memory impairments and increased anxiety while exercise can exert antidepressant-like effects and enhance cognitive function, but the biological underpinnings of these effects and whether exercise can negate effects of such diets remain to be elucidated.- We found that running exercise modestly reduced anxiety in rats fed either a healthy or a cafeteria-style diet and increased a hormone (peptide YY) previously shown to decrease anxiety.- Running exercise exerted antidepressant-like effects in cafeteria diet-fed rats and attenuated cafeteria diet-induced decreases in gut metabolites previously implicated in cognition or depression-like behaviour.- Cafeteria diet blunted exercise-induced production of new neurons in the hippocampus, a brain region important in mood and memory.- These data highlight the importance of combining exercise with a healthy diet for hippocampal health, while identifying potential targets for intervention or dietary supplementation to prevent a cafeteria diet blunting beneficial effects of exercise